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Yıl 2016, Cilt: 4 Sayı: 2, 71 - 78, 30.10.2016

Fatima Benziadi Abdeldjebbar Kandouci

https://doi.org/10.36753/mathenot.421459

Öz

Kaynakça

  • [1] Philip E.Protter., Stochastic integration and differential equations. Math.Appl, Second edition, Springer-Verlag, 2004.
  • [2] H.Kunita., Stochastic flows of diffeomorphisms. Lect.Notes in Math.Vol 1997, Springer-Verlag 1984.
  • [3] G.Barles., Solution de viscosité des équations de Hamilton-Jacobi. Math.Appl.Vol 17, Springer-Verlag, Paris, 1994.
  • [4] Bernt Oksendal., Stochastic differential equations. Springer-Verlag, Berlin, Heidelberg, 1985, 1989, 1992, 1995, 1998, 2003.
  • [5] J.Jacod., Calcul stochastique et problèmes de martingales. Springer-Verlag, Berlin, Heidelberg, New York 1979.
  • [6] Sheng-wu He, Jia-gang Wang and Jia-an Yan., Semimartingale theory and stochastic calculus. Science Press and CRC press INC, 1992.
  • [7] G.Constantini, Equations différentielles d’ordre 2, (http://bacamaths.net/).
  • [8] Monique Jeanblanc, Shiqi Song., Random times with given survival probability and their F-martingale decomposition formula, Stochastic Processes And their Applications, 121(2011).
  • [9] T.R.Bielecki, M.Jeanblanc and M.Rutkowski., Credit Rist Modelling. Osaka University Press, 2009.
  • [10] R.J.Elliot, M.Jeanblanc and M.Yor., On models of default risk, Mathematical Finance. 2000.
  • [11] I.Karatzas, Kardaras.C., The numéraire portfolioinsemimartingale financial models. Finance and Stochastics, 11(4) 447-493 (2007).
  • [12] T.Jeulin, M.Yor., Nouveaux résultats sur le grossissement des tribus. Ann. Scient. Ec. Norm. Sup. 4t, 11 429-443 (1978).
  • [13] C.Yoeurp., Décomposition des martingales locales et formules exponentielles. Séminaire de Probabilités, 10 432-480 (1976).
  • [14] S.W.He, J.G.Wang and J.A.Yan., Semimartingale Theory And Stochastic Calculues Science. Press, CRC, Press Inc 1992.

The Application of Kolmogorov’s theorem in the one-default model

Yıl 2016, Cilt: 4 Sayı: 2, 71 - 78, 30.10.2016

Fatima Benziadi Abdeldjebbar Kandouci

https://doi.org/10.36753/mathenot.421459

Öz


Anahtar Kelimeler

Progressive enlargement of filtration Semimartingale decomposition Multiplicative decomposition Credit risk

Kaynakça

  • [1] Philip E.Protter., Stochastic integration and differential equations. Math.Appl, Second edition, Springer-Verlag, 2004.
  • [2] H.Kunita., Stochastic flows of diffeomorphisms. Lect.Notes in Math.Vol 1997, Springer-Verlag 1984.
  • [3] G.Barles., Solution de viscosité des équations de Hamilton-Jacobi. Math.Appl.Vol 17, Springer-Verlag, Paris, 1994.
  • [4] Bernt Oksendal., Stochastic differential equations. Springer-Verlag, Berlin, Heidelberg, 1985, 1989, 1992, 1995, 1998, 2003.
  • [5] J.Jacod., Calcul stochastique et problèmes de martingales. Springer-Verlag, Berlin, Heidelberg, New York 1979.
  • [6] Sheng-wu He, Jia-gang Wang and Jia-an Yan., Semimartingale theory and stochastic calculus. Science Press and CRC press INC, 1992.
  • [7] G.Constantini, Equations différentielles d’ordre 2, (http://bacamaths.net/).
  • [8] Monique Jeanblanc, Shiqi Song., Random times with given survival probability and their F-martingale decomposition formula, Stochastic Processes And their Applications, 121(2011).
  • [9] T.R.Bielecki, M.Jeanblanc and M.Rutkowski., Credit Rist Modelling. Osaka University Press, 2009.
  • [10] R.J.Elliot, M.Jeanblanc and M.Yor., On models of default risk, Mathematical Finance. 2000.
  • [11] I.Karatzas, Kardaras.C., The numéraire portfolioinsemimartingale financial models. Finance and Stochastics, 11(4) 447-493 (2007).
  • [12] T.Jeulin, M.Yor., Nouveaux résultats sur le grossissement des tribus. Ann. Scient. Ec. Norm. Sup. 4t, 11 429-443 (1978).
  • [13] C.Yoeurp., Décomposition des martingales locales et formules exponentielles. Séminaire de Probabilités, 10 432-480 (1976).
  • [14] S.W.He, J.G.Wang and J.A.Yan., Semimartingale Theory And Stochastic Calculues Science. Press, CRC, Press Inc 1992.
Toplam 14 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Articles
Yazarlar

Fatima Benziadi Bu kişi benim

Abdeldjebbar Kandouci Bu kişi benim

Yayımlanma Tarihi 30 Ekim 2016
Gönderilme Tarihi 8 Nisan 2015
Yayımlandığı Sayı Yıl 2016 Cilt: 4 Sayı: 2

Kaynak Göster

APA Benziadi, F., & Kandouci, A. (2016). The Application of Kolmogorov’s theorem in the one-default model. Mathematical Sciences and Applications E-Notes, 4(2), 71-78. https://doi.org/10.36753/mathenot.421459
AMA Benziadi F, Kandouci A. The Application of Kolmogorov’s theorem in the one-default model. Math. Sci. Appl. E-Notes. Ekim 2016;4(2):71-78. doi:10.36753/mathenot.421459
Chicago Benziadi, Fatima, ve Abdeldjebbar Kandouci. “The Application of Kolmogorov’s Theorem in the One-Default Model”. Mathematical Sciences and Applications E-Notes 4, sy. 2 (Ekim 2016): 71-78. https://doi.org/10.36753/mathenot.421459.
EndNote Benziadi F, Kandouci A (01 Ekim 2016) The Application of Kolmogorov’s theorem in the one-default model. Mathematical Sciences and Applications E-Notes 4 2 71–78.
IEEE F. Benziadi ve A. Kandouci, “The Application of Kolmogorov’s theorem in the one-default model”, Math. Sci. Appl. E-Notes, c. 4, sy. 2, ss. 71–78, 2016, doi: 10.36753/mathenot.421459.
ISNAD Benziadi, Fatima - Kandouci, Abdeldjebbar. “The Application of Kolmogorov’s Theorem in the One-Default Model”. Mathematical Sciences and Applications E-Notes 4/2 (Ekim 2016), 71-78. https://doi.org/10.36753/mathenot.421459.
JAMA Benziadi F, Kandouci A. The Application of Kolmogorov’s theorem in the one-default model. Math. Sci. Appl. E-Notes. 2016;4:71–78.
MLA Benziadi, Fatima ve Abdeldjebbar Kandouci. “The Application of Kolmogorov’s Theorem in the One-Default Model”. Mathematical Sciences and Applications E-Notes, c. 4, sy. 2, 2016, ss. 71-78, doi:10.36753/mathenot.421459.
Vancouver Benziadi F, Kandouci A. The Application of Kolmogorov’s theorem in the one-default model. Math. Sci. Appl. E-Notes. 2016;4(2):71-8.

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